Design science emphasizes the connection between knowledge and practice by showing that we can produce scientific knowledge by designing useful things. However, without further guidelines, aspiring design science researchers tend to identify practical problems with knowledge questions, which may lead to methodologically unsound research designs. To solve a practical problem, the real world is changed to suit human purposes, but to solve a knowledge problem, we acquire knowledge about the world without necessarily changing it. In design science, these two kinds of problems are mutually nested, but this nesting should not blind us for the fact that their problem-solving and solution justification methods are different. This paper analyzes the mutual nesting of practical problems and knowledge problems, derives some methodological guidelines from this for design science researchers, and gives an example of a design science project following this problem nesting.